Is it ok to call a PHP page inside Drupal module??

hi guys,

i'm about to start my first project with Drupal and i've been reading and trying so much lately that its getting confusing at times.

My question is whether the idea of calling a php page in a block is OK or i it breaks the rules of development with Drupal.

What i have done to create a custom navigation in my project is to create a PHP file with all the codes n CSS to get the required layout and then i called this php file in 1 of the blocks using INCLUDE ("header_nav.php")

now i wanna know if thats how one should implement things or there is a better n proper way to achieve this functionality...

Plz guys its really important so do answer my question......

another question is how can we change (Hide/Show) some of the links in Primary links.. i mean i have LOGIN and HELP for anonymous users and would like to show PROFILE, SIGNOUT, INBOX and HELP for users who have logged in...
can it be done dynamically... Just a hint should be enough for me to be able to understand..

Thanx in Advance